HW 1 solution
2. Answer the following questions. (5 points)
(a) The portfolio manager of a tax-exempt fund is considering investing $500,000 in a
debt instrument that pays an annual interest rate of 5.7% for four years (annual
compounding). At the end of

HW 1
FIN4014 Fixed Income
College of Business University of Cincinnati
Fall 2015
Due 9/18/2015
1. We discussed briefly the federal funds rate in the class. Read the Wikipedia entry
Federal funds rate (https:/en.wikipedia.org/wiki/Federal_funds_rate) and a

HW 2
FIN4014 Fixed Income
Lindner College of Business University of Cincinnati
Fall 2015
Due 10/5/2015
Q1. The annual coupon rate for a TIPS is 6%. Suppose that an investor purchases $1,000 of par
value (initial principal) of this issue today and that the

FIN4014 Fixed Income
Spring 2016
Instructor: Hui Guo
1/20/2016
1
Prof. Hui Guo
Worked as an economist at Federal Reserve Bank in St. Louis for 7 years
Federal Reserve System is the US central bank
Federal Reserve Board and 12 regional banks: monetary po

FIN4014 Fixed Income
Instructor: Hui Guo
1/20/2016
Hui Guo FIN4014 Fixed Income
1
Pricing of Bonds
1/20/2016
Fixed Income Hui Guo
2
Time Value of Money
Future value of $P0 invested at an interest rate r per period
1/20/2016
Period
Future Values
0
P0
1
P1=

FIN4014 Fixed Income
Topic2:TreasurySecuritiesandTerm
StructureofInterestRates
Instructor: Hui Guo
1/26/2016
HuiGuoFIN4014FixedIncome
1
Treasury Securities
1/26/2016
HuiGuoFIN4014FixedIncome
2
Treasury securities
Issued by U.S. Department of the Treasury

HW 2
FIN4014 Fixed Income
Q1. The annual coupon rate for a TIPS is 6%. Suppose that an investor purchases $1,000 of par
value (initial principal) of this issue today and that the annual inflation rate is 3%. (5 points)
1. What is the dollar coupon interes

FIN4014Fixed Income
Carl H. Lindner College of Business University of Cincinnati
Spring 2016
Instructor: Prof. Hui Guo
Phone:
(513) 556-7077
Office:
418 Carl H. Lindner Hall
Email:
hui.guo@uc.edu
Class Hours: Wednesday 6:00pm - 8:50pm
Class Room: Lindner

FIN4014 spring 2016
Quiz One January 13, 2016
Name:
Student ID:
Assume semiannual compounding and semiannual
coupon payments.
(a) The par value of a five-year Treasury bond is
$1,000, and the annual coupon rate is 10%. The
annual yield is 8%. Calculate th

FIN4014 spring 2016
Quiz 2 January 20, 2016
Name:
Student ID:
An investor with a 3-year investment horizon considers
purchasing a 10-year 8% coupon bond for $875.38. The
par is $1,000 and the yield to maturity is 10%. The
investor expects to be able to re

FIN4014 spring 2016
Quiz 4
Name:
Student ID:
Bond A is a 6-month zero coupon bond. The par value is
$1000 and the price is 970.87. Bond B is a 12-month zero
coupon bond. The par value is $1000 and the price is
$961.17. Bond C is a 12-month coupon bond. Pa

FIN4014
Quiz five
Name:
Student ID:
You observe following information of bonds A, B, and C.
Bond
Maturity
Par
A
B
C
6 month
12 month
18 month
$1000
$1000
$1000
Annual
Coupon
Rate
0%
4%
4%
Price
$950
$940
930
Construct the spot rate curve z1, z2, and z3.
Z

FIN4014 Sprint 2016
Quiz 3
Name:
Student ID:
Bond A is 1-year a zero coupon bond with a par of $1,000.
Bond B is a 1-year 10% coupon bond with a par of $1,000.
The current yield to maturity is 10%.
a) Suppose a bond portfolio includes a bond A and a
bond

FIN4014Fixed Income
Carl H. Lindner College of Business University of Cincinnati
Fall 2016
Instructor:
Phone:
Office:
Email:
Class Hours:
Class Room:
Office hours:
Prof. Hui Guo
(513) 556-7077
418 Carl H. Lindner Hall
hui.guo@uc.edu
MWF 2:30pm - 3:25pm
Li

HW 1
FIN4014 Fixed Income
College of Business University of Cincinnati
Fall 2016
Due 9/12/2016
1. We discussed briefly the federal funds rate in the class. Read the Wikipedia entry
Federal funds rate (https:/en.wikipedia.org/wiki/Federal_funds_rate) and a

FIN4014
Quiz Four
(1) Bond A: 1-year coupon bond of 2% annual coupon
rate and $1000 par value. Semi-annual spot rates are
Z1=4% and Z2=6% for 6 and 12 months, respectively.
Calculate the price and YTM of bond A
Pn =
C Fn
C F1
C F2
.
.
.
+
+
+
(1 + z 1 )
(

FIN4014 Fixed Income
Instructor: Hui Guo
10/26/2015
Hui Guo FIN 4014 Fixed Income
1
Topic 4
Active Bond Strategies, Indexing, and Immunization
10/26/2015
Hui Guo FIN 4014 Fixed Income
2
Bond Portfolio Strategies
Active strategies
Passive strategies
Indexi

FIN4014 Fixed Income
Instructor: Hui Guo
9/14/2015
Hui Guo FIN4014 Fixed Income
1
Pricing of Bonds
9/14/2015
Fixed Income Hui Guo
2
Time Value of Money
Future value of $P0 invested at an interest rate r per period
Period
0
P0
1
P1=P0(1+r)
2
P2=P1(1+r)=P0(

HW 4
FIN4014 Fixed Income
College of Business University of Cincinnati
Fall 2015
Due 11/6/2015
1. Efficient Market Hypothesis (20 points)
(a) What is the efficient market hypothesis?
(b) Does the efficient market hypothesis imply that there is no arbitrag

HW 3
FIN7037 Fixed Income
Carl H. Lindner College of Business University of Cincinnati
Fall 2015
Due October 26, 2015
Part 1
1. What are the main differences between corporate bonds and US Treasury bonds? (3 points)
2. What is the absolute priority rule?

Quiz 9
FIN4014 Fixed Income
10/30/2015
Suppose the current annual spot rates are as follows:
6 months
2%
12 months
2%
18 months
4%
Assume semi-annual compounding.
Calculate the prices of (1) 6-month zero coupon bond and (2) 18-month coupon bond with the
a

Quiz 8
FIN4014 Fixed Income
10/23/2015
1. You have collected following information about the firm XYZ:
The firm issues a corporate bond: par value = $500, annual coupon = $100 (paid once a
year), maturity = 2 years.
The current total value of the firm (in

FIN4014 fall 2015
Quiz Seven October 9, 2015
Name:
Student ID:
What are the main differences between corporate bonds
and Treasury bonds?
Corporate bonds have credit risk, contractual provision,
and low liquidity.
There are a corporate bond and a Treasury

FIN4014 fall 2015
Quiz 4 September 18, 2015
Name:
Student ID:
Bond A is 1-year a zero coupon bond with a par of $1,000.
Bond B is a 1-year 10% coupon bond with a par of $1,000.
The current yield to maturity is 10%.
a) Suppose a bond portfolio includes a b

FIN4014 fall 2015
Quiz Two September 4, 2015
Name:
Student ID:
The Treasury department issued a 10-year bond on January 1, 2014. The par value is $1,000 and
the annual coupon rate is 10%. The bond pays two coupons every year, one at the end of June
and on

FIN4014 fall 2016
Quiz 3
Bond A is a 1-year zero coupon bond with a par of
$1,000. Bond B is a 1-year 10% coupon bond with a par
of $1,000. The current yield to maturity is 10%.
a) Calculate the Macaulay duration and the modified
duration for bonds A and

FIN4014 fall 2016
Quiz 2 September 2, 2016
Name:
Student ID:
An investor with a 3-year investment horizon considers
purchasing a 10-year 8% coupon bond for $875.38. The
par is $1,000 and the yield to maturity is 10%. The
investor expects to be able to rei

FIN4014
Quiz five
Name:
Student ID:
You observe following information of bonds A, B, and C.
Bond
Maturity
Par
A
B
C
6 month
12 month
18 month
$1000
$1000
$1000
Annual
Coupon
Rate
0%
4%
4%
Price
$950
$940
930
Construct the spot rate curve z1, z2, and z3.
Z